Most people can't load them properly and the student spends more time fucking around with their gun than shooting. It becomes a distraction the other students are not paying for. It is also a safety hazard in several ways.
My insurance doesn't cover your reloads either. Something happens, and I know they were reloaded bullets, I am very much liable for damages. It is risky enough without added potential for a lawsuit. Especially one I knowingly allowed to be present on my range.
I saw this in courses I taught and courses where I AI'd for other instructors. Most quality professional instructors don't allow reloads for these reasons. It is not worth the headache. And as mentioned above, everyone I have ever met who does that shit, has that shit happen during th course, and to a man, exasperated, frustrated, and embarrassed, tried to explain how this is the first/only time this has ever happened.